APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059)
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scientific article; zbMATH DE number 6776140
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| English | APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH |
scientific article; zbMATH DE number 6776140 |
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APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (English)
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19 September 2017
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local volatility functions
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stochastic volatility models
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closed-form expansion
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0.92709434
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0.92353797
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0.9210371
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0.9136896
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0.91076964
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0.9056948
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0.9018842
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0.90172327
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0.90037966
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